On Tue, 23 Sep 2008, Gordon Hughes wrote:
> As I understand, when mle is given derivatives of the
> log-likelihood, it checks the computed derivatives against its
> own numerical derivatives at the first iteration. If they are
> different, the program reports that there is a difference and
> stops. This is a very useful test, but the diagnostic
> information could be a bit more helpful.
> Would there be any problem in reporting the computed derivatives
> and the numerical derivatives, because this would help the
> programmer identify where the error in programming the
> derivatives has occurred?
Yes, we could offer some more information; I'll think about how
do that. Our check is by courtesy of the minpack function chkder
-- you can read the documentation for that function at
I assume that you test the contents of the array err() generated by
chkder. Thus, the simplest option would seem to be to print out
err() with text saying that the values represent the probability for
each parameter that the relevant analytical derivative is
correct. Since this is basically an error message, it is not worth
going to too much trouble to format err().